摘要
关于金融危机传染效应的理论研究,相对于以往金融和贸易等传统传染渠道对投资者情绪非理性因素引起的“纯传染”还没有引起足够重视。本文在当前的国际投资及贸易环境状况的背景下,以中美两国投资者情绪为研究对象,构建中美两国投资者情绪指标,通过Copula模型验证二者之间的相关性及传染性。研究结果显示,美国投资者情绪的变化会导致中国投资者情绪发生变化并且传染效应为单向传导,在不同阶段呈现波动状态,且二者Copula时变相关系数在金融危机发生时期达到最大值,充分印证中美投资者情绪在金融危机发生期间传染效应发生概率明显增强且达到最大化。因此,在金融危机平稳期及预警期应实施相应预警、管控及应急处置政策、方案,引导投资者情绪向理性方向发展,并不断完善我国资本流动管制政策,纳入宏观审慎管理体系。
The theoretical research on the contagion effect of financial crisis has not paid enough attention to the “pure contagion” caused by irrational factors of investor sentiment compared with the traditional contagion channels such as finance and trade.Under the background of current international investment and trade environment,this paper takes the investor sentiment of China and the United States as the research object,constructs the investor sentiment indicators of China and the United States,and verifies the correlation and contagion between the two through the Copula model.The results show that the change of investor sentiment in the United States will lead to the change of investor sentiment in China and the contagion effect is one-way transmission,showing fluctuations in different stages,and the Copula time-varying correlation coefficient of them reaches its maximum in the period of the financial crisis,which fully confirms that the contagion effect of Chinese and American investor sentiment during the financial crisis is significantly increased and maximized.Therefore,in the stable period and early warning period of the financial crisis,we should implement corresponding policies and plans of early warning,control and emergency disposal,guide investors′sentiment to develop in a rational direction,and constantly improve our capital flow control policies and integrate them into the macro-prudential management system.
作者
祝宝江
王炜琪
陈国雄
ZHU Bao-jiang;WANG Wei-qi;CHEN Guo-xiong(School of Economics and Management,Yancheng Vocational Institute of Industry Technology,Yancheng 224005,China;Shanghai Paid Loan Financial Information Service Co.,Ltd.,Shanghai 200000,China;School of Applied Technology,Hezhou University,Hezhou 542899,China)
出处
《商业研究》
CSSCI
北大核心
2019年第7期92-99,共8页
Commercial Research
基金
江苏省社会科学基金课题“民生共享战略下的江苏城乡居民社保均等化问题研究”,项目编号:16ZHB004
教育部产学合作协同育人基金项目“产学合作协同育人研究”,项目编号:201802202005
